Why do you have to register a bot with Azure?
These bots depend on heavy NLP services that are provided via Azure. Implementing/deploying your own production-quality versions of these is nontrivial, if not impossible (since you don't have all the training data, internal algorithms, etc. that Microsoft/Amazon/Google/IBM et al have), and is generally non-feasible on home-grade devices.

And yes, that makes the relevant Azure services a dependency that your chatbot will have, and if you use that service you'll need to be aware of their SLAs.

Plus, they'd like to charge you money. :-)